TY - JOUR

T1 - Period value at risk and its estimation by Monte Carlo simulation

AU - Huo, Yanli

AU - Xu, Chunhui

AU - Shiina, Takayuki

N1 - Funding Information:
This work was supported by the JSPS [19K01757,19K04913]; Zhejiang Provincial Natural Science Foundation of China [LQ18G010004]; Qianjiang Talent Plan of Zhejiang Province of China [QJC1502008].
Publisher Copyright:
© 2021 Informa UK Limited, trading as Taylor & Francis Group.

PY - 2022

Y1 - 2022

N2 - Most risk indicators for an investment show the risk at a certain future time; they cannot reflect the risk over a time period, which may be more important than the risk at a certain time. We proposed Period Value at Risk (PVaR) for measuring market risk over a period of time, and a historical simulation method to estimate the PVaR of an investment. This paper suggests a method which uses Monte Carlo simulation to estimate PVaR. We can calculate the estimation error with this method, and determine the least number of simulations for getting a qualified estimation.

AB - Most risk indicators for an investment show the risk at a certain future time; they cannot reflect the risk over a time period, which may be more important than the risk at a certain time. We proposed Period Value at Risk (PVaR) for measuring market risk over a period of time, and a historical simulation method to estimate the PVaR of an investment. This paper suggests a method which uses Monte Carlo simulation to estimate PVaR. We can calculate the estimation error with this method, and determine the least number of simulations for getting a qualified estimation.

KW - Financial market risk

KW - Monte Carlo simulation

KW - risk measure

KW - value at risk

UR - http://www.scopus.com/inward/record.url?scp=85111671818&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85111671818&partnerID=8YFLogxK

U2 - 10.1080/13504851.2021.1958136

DO - 10.1080/13504851.2021.1958136

M3 - Article

AN - SCOPUS:85111671818

SN - 1350-4851

VL - 29

SP - 1675

EP - 1679

JO - Applied Economics Letters

JF - Applied Economics Letters

IS - 18

ER -